Yes, you are to drill the cotter pin hole. It's always been this way.
Do not tighten the nut "really tight". Tighten until there is no slop.
Best done with the wheel off the ground so you can make sure that the bearing is properly seated.
And yes, drill one side, pin the nut and drill the other side.

I marked the spot on the axle threads where the hole needed to be drilled and drilled the hole without the nut in place. That way you don't create a burr from the drill that prevents you from unscrewing the nut. As noted above, you can file down the threads in that location, use a center punch and then the drill bit won't wander.

Once you get the hole drilled on each side, then run the bit through both holes at the same time to square up the angle of the hole. Otherwise, when you try to poke the cotter pin through, it might aim up or down and miss the other side on the way out.

The VAFForums come to you courtesy Delta Romeo, LLC. By viewing and participating in them you agree to build your plane using standardized methods and practices and to fly it safely and in accordance with the laws governing the country you are located in.